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Volatility spillover effects during pre-and-post COVID-19 outbreak on Indian market from the USA, China, Japan, Germany, and Australia

Thangamuthu, Mohanasundaram; Maheshwari, Suneel; Naik, … - In: Journal of risk and financial management : JRFM 15 (2022) 9, pp. 1-15

We examined volatility spillover effects from five prominent global stock markets to India's stock market during the … and compare the results pre-and-post COVID-19. Results show that previous period news and volatility feeds the next period …'s volatility significantly and the volatility is found to be persistent. The analysis also shows that during the pre-COVID period …

Persistent link: https://www.econbiz.de/10013397677

Exchange return co-movements and volatility spillovers before and after the introduction of euro

Antonakakis, Nikolaos - 2012

This paper examines co-movements and volatility spillovers in the returns of the euro, the British pound, the Swiss … significant co-movements and volatility spillovers across the four exchange returns, but their extend is, on average, lower in the … latter period. Return co-movements and volatility spillovers show large variability though, and are positively associated …

Persistent link: https://www.econbiz.de/10011347744

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011

A major obstacle for research in international asset pricing and corporate finance has been a lack of reliable and publicly available data on international common risk factors and portfolios. To address this gap, we provide a step-by-step description of how appropriately screened data from...

Persistent link: https://www.econbiz.de/10008798062

On the construction of common size, value and momentum factors in international stock markets : a guide with applications

Schmidt, Peter S.; Arx, Urs von; Schrimpf, Andreas; … - 2011 - This version: 4.1.2011

Demand is growing for a better understanding of how assets are priced in countries outside of the U.S. While financial data are available for many firms world-wide, it is important to have a reliable and replicable method of constructing high-quality systematic risk factors from these data. This...